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Papers by Svetlana Sapuric

Research paper thumbnail of Blockchain for Accounting and Auditing - Accounting and Auditing for Cryptocurrencies: A Systematic Literature Review and Future Research Directions

Research paper thumbnail of The Impact of Neurotransmitters, Emotional Intelligence, and Personality traits on individual investors’ investment decisions: An Empirical comparative study

Global Business and Economics Review

Research paper thumbnail of Introducing a framework identifying stock market return determinants: A micro and macroeconomic perspectives: An Empirical study on the Egyptian Stock Market

مجلة جامعة الإسکندریة للعلوم الإداریة

Introducing a framework identifying stock market return determinants: A micro and macroeconomic p... more Introducing a framework identifying stock market return determinants: A micro and macroeconomic perspectives: An Empirical study on the Egyptian Stock Market

Research paper thumbnail of MCIS 2016 Call for Papers: Track on Digital Currencies, Digital Payments and Blockchain

Research paper thumbnail of Positive and Negative Searches Related to the Bitcoin Ecosystem: Relationship with Bitcoin Price

Information Systems, 2020

Research paper thumbnail of In Which Distributed Ledger Do We Trust? A Comparative Analysis Of Cryptocurrencies

This study provides a comparative financial and statistical analysis between the largest and most... more This study provides a comparative financial and statistical analysis between the largest and most traded cryptocurrencies. In particular, the exchange rates of Bitcoin, Litecoin, Ripple and Ethereum were collected from August 2010 until May 2017. The raw annualized volatility of cryptocurrencies is compared as well as to fiat currencies and major exchange rates. The results show that Bitcoin is the least volatile cryptocurrency with low correlations with the altcoins, providing possible diversification benefits to cryptocurrency investing. In addition, our results indicate that Bitcoin is the only cryptocurrency that has causality effects on the other cryptocurrencies.

Research paper thumbnail of Three essays in asset management

The objective of this paper is to examine whether short-term variation in the ranking of size and... more The objective of this paper is to examine whether short-term variation in the ranking of size and style index returns in the UK equity market is better predictable and exploitable by means of quantitative or momentum style rotation strategies. Using UK index data, we assess the profitability of a number of long-only and long/short multi-style rotation strategies based on these two alternative methods. The findings suggest that trading rules based on simple short-term momentum strategies are able to generate higher Sharpe ratios and greater end-of-period wealth at a reasonable level of transaction costs than our quantitatively based trading rules. This result is particularly pronounced among the long-only strategies.

Research paper thumbnail of The Relationship Between Bitcoin Trading Volume, Volatility, and Returns: A Study of Four Seasons

We study the relationship between Bitcoin trading volume, volatility, and returns using financial... more We study the relationship between Bitcoin trading volume, volatility, and returns using financial data for the period July 2010–November 2017. When we compare the raw annualized volatility of the Bitcoin exchange rate against common currencies, we observe that Bitcoin’s is higher. However, when the volume of Bitcoin transactions is considered, the volatility of the Bitcoin stabilizes significantly. Then we divide our sample into four distinct time periods, defined by three important events, namely, the loss of public confidence in the banking system in 2013, the MtGox Bitcoin Exchange hack in early 2014, and the introduction of the Bitcoin legislation in Japan in April 2017. Using asymmetric EGARCH models with the lag of the natural logarithm of the volume of the Bitcoin both as a regressor in the mean equation as well as in the specification of the conditional variance as multiplicative heteroskedasticity we show that volume and volatility are related after 2013, and volume and ret...

Research paper thumbnail of Assessing the implementation of serialisation in pharmaceutical industry in Greece: a qualitative approach

J. for Global Business Advancement, 2020

In a competitive environment such as the pharmaceutical sector the necessity for visibility of th... more In a competitive environment such as the pharmaceutical sector the necessity for visibility of the supply chain is currently not only an idea in regulators' minds but also a challenge for the key stakeholders. The aim of the study is to reflect the current status of serialisation implementation in the pharmaceutical industry, discover interests and expectations and explore the post implementation environment. A stakeholder analysis was conducted to assess the importance of each stakeholder. Furthermore, to discover interests and expectations, analyse the status and explore what is coming next when serialisation will be effective, personal in-depth interviews with subject material experts took place. Our results indicate that manufacturers, CMOs and re-packagers are most impacted, and serialisation is a necessity for regulation compliance. Its implementation aims to bring important changes, the impacts are gradually visible and the journey until it is fully implemented will last for some years to come.

Research paper thumbnail of The relationship between Bitcoin returns, volatility and volume: asymmetric GARCH modeling

Journal of Enterprise Information Management, 2020

PurposeTo show that when volume of trades is taken into consideration, Bitcoin does not seem as v... more PurposeTo show that when volume of trades is taken into consideration, Bitcoin does not seem as volatile as it claimed. Further, to study the relationship between Bitcoin trading volume, volatility and returns, and the asymmetry in response to economic information for the period from July 2010 to November 2017.Design/methodology/approachComparison of Bitcoin price volatility with that of six currencies and gold. We repeat the analysis using returns divided by volume. We examine the relationship between volume, returns and volatility, and the asymmetry of the reaction of the volatility to economic news using asymmetric models (EGARCH) run for four meaningful distinct time periods/subsamples.FindingsPositive and significant relationship between (1) volume and volatility after 2013 (year Bitcoin became popular) and (2) volume and returns before the Mt. Gox hack. During the euphoric period, starting at the beginning of 2013 until the Mt. Gox hack, unexpected increases in Bitcoin returns...

Research paper thumbnail of Bitcoin Is Volatile! Isn’t that Right?

Lecture Notes in Business Information Processing, 2014

In this study, we substantiate with financial data collection and analysis the hypothesis regardi... more In this study, we substantiate with financial data collection and analysis the hypothesis regarding the volatility of Bitcoin exchange rate against common currencies. Financial data were collected from July 2010 until April 2014. The raw annualised volatility of Bitcoin is compared to conventional and major exchange rates. The first set of results indicate a high value of annualised volatility for the Bitcoin exchange rate. When the volume of Bitcoin transactions is considered, the volatility of the Bitcoin exchange rate stabilizes significantly.

Research paper thumbnail of The Impact of Manager Changes on Fund Performance

Using our unique database of UK fund manager changes and event study methodology, we examine the ... more Using our unique database of UK fund manager changes and event study methodology, we examine the impact of such changes to establish whether this impact varies depending upon whether the fund manager is male or female; whether the fund is a developed or emerging market; and depending upon the fund’s style, that is, growth, value or small cap. Our results show clearly across different categories of funds that a change in fund manager can have a significant impact on fund performance. We document that funds improve their performance after a female fund manager has been replaced. Finally, we find persistence in performance of the bottom performing funds compared with the top performing funds preand post management change. 1 Professor of Asset Management; Doctoral student; and Senior Lecturer in Investment Management.

Research paper thumbnail of What impact does a change of fund manager have on mutual fund performance?

International Review of Financial Analysis, 2014

Using a unique database of UK fund manager changes over the period from 1997 to 2011, we examine ... more Using a unique database of UK fund manager changes over the period from 1997 to 2011, we examine the impact of such changes on fund performance. We find clear evidence to suggest that a manager change does affect the benchmark-adjusted performance of UK mutual funds. In particular we find a significant deterioration in the benchmark-adjusted returns of funds that were top performers before the manager exit and, conversely, a significant improvement in the average benchmark-adjusted returns of funds that were poor performers before the manager exit. Our use of the Carhart's (1997) four-factor model reveals that the improvement in average post manager exit performance is accompanied by a reduction in market risk, a slight reduction in exposure to small cap stocks, and an increase in exposure to value and momentum stocks. Overall, our results suggest that UK fund management companies have been relatively successful in replacing bad managers with better managers, but relatively unsuccessful at finding equivalent replacements for their top performing managers. We believe that regulators should therefore try to ensure that all efforts are made by fund management companies to inform all of their investors about a change in management. ugh individual investors m

Research paper thumbnail of Quantitative or momentum-based multi-style rotation? UK experience

Journal of Asset Management, 2010

The objective of this paper is to examine whether short-term variation in the ranking of size and... more The objective of this paper is to examine whether short-term variation in the ranking of size and style index returns in the UK equity market is better predictable and exploitable by means of quantitative or momentum style rotation strategies. Using UK index data, we assess the profitability of a number of long-only and long/short multi-style rotation strategies based on these two alternative methods. The findings suggest that trading rules based on simple short-term momentum strategies are able to generate higher Sharpe ratios and greater end-of-period wealth at a reasonable level of transaction costs than our quantitatively based trading rules. This result is particularly pronounced among the long-only strategies.

Research paper thumbnail of Introducing a framework identifying stock market return determinants: A micro and macroeconomic perspectives: An Empirical study on the Egyptian Stock Market

مجلة جامعة الإسکندریة للعلوم الإداریة

Introducing a framework identifying stock market return determinants: A micro and macroeconomic p... more Introducing a framework identifying stock market return determinants: A micro and macroeconomic perspectives: An Empirical study on the Egyptian Stock Market

Research paper thumbnail of Blockchain for Accounting and Auditing - Accounting and Auditing for Cryptocurrencies: A Systematic Literature Review and Future Research Directions

Research paper thumbnail of The Impact of Neurotransmitters, Emotional Intelligence, and Personality traits on individual investors’ investment decisions: An Empirical comparative study

Global Business and Economics Review

Research paper thumbnail of Introducing a framework identifying stock market return determinants: A micro and macroeconomic perspectives: An Empirical study on the Egyptian Stock Market

مجلة جامعة الإسکندریة للعلوم الإداریة

Introducing a framework identifying stock market return determinants: A micro and macroeconomic p... more Introducing a framework identifying stock market return determinants: A micro and macroeconomic perspectives: An Empirical study on the Egyptian Stock Market

Research paper thumbnail of MCIS 2016 Call for Papers: Track on Digital Currencies, Digital Payments and Blockchain

Research paper thumbnail of Positive and Negative Searches Related to the Bitcoin Ecosystem: Relationship with Bitcoin Price

Information Systems, 2020

Research paper thumbnail of In Which Distributed Ledger Do We Trust? A Comparative Analysis Of Cryptocurrencies

This study provides a comparative financial and statistical analysis between the largest and most... more This study provides a comparative financial and statistical analysis between the largest and most traded cryptocurrencies. In particular, the exchange rates of Bitcoin, Litecoin, Ripple and Ethereum were collected from August 2010 until May 2017. The raw annualized volatility of cryptocurrencies is compared as well as to fiat currencies and major exchange rates. The results show that Bitcoin is the least volatile cryptocurrency with low correlations with the altcoins, providing possible diversification benefits to cryptocurrency investing. In addition, our results indicate that Bitcoin is the only cryptocurrency that has causality effects on the other cryptocurrencies.

Research paper thumbnail of Three essays in asset management

The objective of this paper is to examine whether short-term variation in the ranking of size and... more The objective of this paper is to examine whether short-term variation in the ranking of size and style index returns in the UK equity market is better predictable and exploitable by means of quantitative or momentum style rotation strategies. Using UK index data, we assess the profitability of a number of long-only and long/short multi-style rotation strategies based on these two alternative methods. The findings suggest that trading rules based on simple short-term momentum strategies are able to generate higher Sharpe ratios and greater end-of-period wealth at a reasonable level of transaction costs than our quantitatively based trading rules. This result is particularly pronounced among the long-only strategies.

Research paper thumbnail of The Relationship Between Bitcoin Trading Volume, Volatility, and Returns: A Study of Four Seasons

We study the relationship between Bitcoin trading volume, volatility, and returns using financial... more We study the relationship between Bitcoin trading volume, volatility, and returns using financial data for the period July 2010–November 2017. When we compare the raw annualized volatility of the Bitcoin exchange rate against common currencies, we observe that Bitcoin’s is higher. However, when the volume of Bitcoin transactions is considered, the volatility of the Bitcoin stabilizes significantly. Then we divide our sample into four distinct time periods, defined by three important events, namely, the loss of public confidence in the banking system in 2013, the MtGox Bitcoin Exchange hack in early 2014, and the introduction of the Bitcoin legislation in Japan in April 2017. Using asymmetric EGARCH models with the lag of the natural logarithm of the volume of the Bitcoin both as a regressor in the mean equation as well as in the specification of the conditional variance as multiplicative heteroskedasticity we show that volume and volatility are related after 2013, and volume and ret...

Research paper thumbnail of Assessing the implementation of serialisation in pharmaceutical industry in Greece: a qualitative approach

J. for Global Business Advancement, 2020

In a competitive environment such as the pharmaceutical sector the necessity for visibility of th... more In a competitive environment such as the pharmaceutical sector the necessity for visibility of the supply chain is currently not only an idea in regulators' minds but also a challenge for the key stakeholders. The aim of the study is to reflect the current status of serialisation implementation in the pharmaceutical industry, discover interests and expectations and explore the post implementation environment. A stakeholder analysis was conducted to assess the importance of each stakeholder. Furthermore, to discover interests and expectations, analyse the status and explore what is coming next when serialisation will be effective, personal in-depth interviews with subject material experts took place. Our results indicate that manufacturers, CMOs and re-packagers are most impacted, and serialisation is a necessity for regulation compliance. Its implementation aims to bring important changes, the impacts are gradually visible and the journey until it is fully implemented will last for some years to come.

Research paper thumbnail of The relationship between Bitcoin returns, volatility and volume: asymmetric GARCH modeling

Journal of Enterprise Information Management, 2020

PurposeTo show that when volume of trades is taken into consideration, Bitcoin does not seem as v... more PurposeTo show that when volume of trades is taken into consideration, Bitcoin does not seem as volatile as it claimed. Further, to study the relationship between Bitcoin trading volume, volatility and returns, and the asymmetry in response to economic information for the period from July 2010 to November 2017.Design/methodology/approachComparison of Bitcoin price volatility with that of six currencies and gold. We repeat the analysis using returns divided by volume. We examine the relationship between volume, returns and volatility, and the asymmetry of the reaction of the volatility to economic news using asymmetric models (EGARCH) run for four meaningful distinct time periods/subsamples.FindingsPositive and significant relationship between (1) volume and volatility after 2013 (year Bitcoin became popular) and (2) volume and returns before the Mt. Gox hack. During the euphoric period, starting at the beginning of 2013 until the Mt. Gox hack, unexpected increases in Bitcoin returns...

Research paper thumbnail of Bitcoin Is Volatile! Isn’t that Right?

Lecture Notes in Business Information Processing, 2014

In this study, we substantiate with financial data collection and analysis the hypothesis regardi... more In this study, we substantiate with financial data collection and analysis the hypothesis regarding the volatility of Bitcoin exchange rate against common currencies. Financial data were collected from July 2010 until April 2014. The raw annualised volatility of Bitcoin is compared to conventional and major exchange rates. The first set of results indicate a high value of annualised volatility for the Bitcoin exchange rate. When the volume of Bitcoin transactions is considered, the volatility of the Bitcoin exchange rate stabilizes significantly.

Research paper thumbnail of The Impact of Manager Changes on Fund Performance

Using our unique database of UK fund manager changes and event study methodology, we examine the ... more Using our unique database of UK fund manager changes and event study methodology, we examine the impact of such changes to establish whether this impact varies depending upon whether the fund manager is male or female; whether the fund is a developed or emerging market; and depending upon the fund’s style, that is, growth, value or small cap. Our results show clearly across different categories of funds that a change in fund manager can have a significant impact on fund performance. We document that funds improve their performance after a female fund manager has been replaced. Finally, we find persistence in performance of the bottom performing funds compared with the top performing funds preand post management change. 1 Professor of Asset Management; Doctoral student; and Senior Lecturer in Investment Management.

Research paper thumbnail of What impact does a change of fund manager have on mutual fund performance?

International Review of Financial Analysis, 2014

Using a unique database of UK fund manager changes over the period from 1997 to 2011, we examine ... more Using a unique database of UK fund manager changes over the period from 1997 to 2011, we examine the impact of such changes on fund performance. We find clear evidence to suggest that a manager change does affect the benchmark-adjusted performance of UK mutual funds. In particular we find a significant deterioration in the benchmark-adjusted returns of funds that were top performers before the manager exit and, conversely, a significant improvement in the average benchmark-adjusted returns of funds that were poor performers before the manager exit. Our use of the Carhart's (1997) four-factor model reveals that the improvement in average post manager exit performance is accompanied by a reduction in market risk, a slight reduction in exposure to small cap stocks, and an increase in exposure to value and momentum stocks. Overall, our results suggest that UK fund management companies have been relatively successful in replacing bad managers with better managers, but relatively unsuccessful at finding equivalent replacements for their top performing managers. We believe that regulators should therefore try to ensure that all efforts are made by fund management companies to inform all of their investors about a change in management. ugh individual investors m

Research paper thumbnail of Quantitative or momentum-based multi-style rotation? UK experience

Journal of Asset Management, 2010

The objective of this paper is to examine whether short-term variation in the ranking of size and... more The objective of this paper is to examine whether short-term variation in the ranking of size and style index returns in the UK equity market is better predictable and exploitable by means of quantitative or momentum style rotation strategies. Using UK index data, we assess the profitability of a number of long-only and long/short multi-style rotation strategies based on these two alternative methods. The findings suggest that trading rules based on simple short-term momentum strategies are able to generate higher Sharpe ratios and greater end-of-period wealth at a reasonable level of transaction costs than our quantitatively based trading rules. This result is particularly pronounced among the long-only strategies.

Research paper thumbnail of Introducing a framework identifying stock market return determinants: A micro and macroeconomic perspectives: An Empirical study on the Egyptian Stock Market

مجلة جامعة الإسکندریة للعلوم الإداریة

Introducing a framework identifying stock market return determinants: A micro and macroeconomic p... more Introducing a framework identifying stock market return determinants: A micro and macroeconomic perspectives: An Empirical study on the Egyptian Stock Market